What This Document Is
This is the official course syllabus for Advanced Financial Mathematics (MATH 5660) at the University of Connecticut, specifically for the Spring 2011 semester. It serves as a comprehensive overview of the course structure, expectations, and assessment methods. This syllabus details the academic journey students will undertake in exploring sophisticated financial modeling techniques.
Why This Document Matters
This syllabus is essential for anyone enrolled in, or considering enrolling in, MATH 5660. It’s particularly valuable at the beginning of the semester to understand the course’s objectives, required materials, and grading policies. Prospective students can use it to gauge the course’s intensity and relevance to their academic and professional goals, especially those pursuing a Professional Master’s degree in Applied Financial Mathematics or preparing for relevant professional exams. Current students should refer to it throughout the semester as a central point of reference.
Topics Covered
* Foundational concepts in stochastic processes and stochastic calculus.
* Models for pricing and hedging financial instruments (derivatives).
* Risk-neutral pricing and hedging strategies.
* Advanced topics in asset pricing and term structure modeling.
* Applications of stochastic calculus to financial markets.
* Multivariate stochastic calculus and related theorems.
* The mathematics of arbitrage and market completeness.
What This Document Provides
* A detailed course schedule outlining key topics and dates.
* Information on required and supplemental textbooks.
* A breakdown of the grading components and their respective weights.
* Instructor contact information and office hours.
* Policies regarding assignments, projects, and the final exam.
* A clear statement regarding potential changes to the syllabus and grading plan.
* An overview of the theoretical underpinnings of financial modeling.